Merton problem in an infinite horizon and a discrete time with frictions

DOI10.3934/jimo.2016.12.1323zbMath1364.90412OpenAlexW2526037168WikidataQ57635847 ScholiaQ57635847MaRDI QIDQ2358298

Jean-Marc Bonnisseau, Halil Mete Soner, Senda Ounaies, Souhail Chebbi

Publication date: 14 June 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2016.12.1323

zbMATH Keywords

infinite horizondynamic programmingvalue functionmarket frictionsMerton problemafter liquidation valuediscrete market

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Dynamic programming (90C39) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Cites Work

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• Liquidity risk and arbitrage pricing theory
• Martingales and arbitage in securities markets with transaction costs
• Merton problem in a discrete market with frictions
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• LIQUIDITY IN A BINOMIAL MARKET
• Portfolio Selection with Transaction Costs

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